Doesn't CentOS provide it's own packages with nVidia drivers? If not, try running the installer like "sh NVIDIA... --kernel-source-path=(path_to_your_kernel_src)"
If that doesn't help, try running "zcat /proc/config.gz > .config" and "make prepare" in the kernel sources directory. This usually works for me on Arch, dunno if there is something CentOS specific.

Thanks for the response.

I've upgraded the kernel to 2.6.35 so the precompiled centos provided drivers don't work. I had to upgrade to get the internal 3G device working.

I have tried the first option i.e. explicitly specifying the kernel sources with no luck. I see that the nvidia driver compile refers to various src/kernel/asm folders which are present in 2.6.18 but not in 2.6.35...